A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

We derive a closed‐form optimal dynamic portfolio policy when trading is costly and security
returns are predictable by signals with different mean‐reversion speeds. The optimal …

This paper proposes a new intraday volatility forecasting model, particularly suitable for
modeling a large number of assets. We decompose volatility of high-frequency returns into …

1Forthcoming 2008 in Handbook of Financial Intermediation & Banking, edited by AWA Boot
and AV Thakor. We thank the authors of the research reviewed here for their insights into the …

Motivated by the literature on investment flows and optimal trading, we examine intraday
predictability in the cross‐section of stock returns. We find a striking pattern of return …

We show how portfolio choice can be modeled in continuous time with transitory and
persistent transaction costs, multiple assets, multiple signals predicting returns, and general …

We introduce a new analysis of transaction costs that explicitly recognizes the importance of
the timing of execution in assessing transaction costs. Time induces a risk/cost tradeoff. The …

We propose the use of a mean quadratic variation criteria to determine an optimal trading
strategy in the presence of price impact. We derive the Hamilton Jacobi Bellman (HJB) …

We consider the problem of mean-variance optimal agency execution strategies, when the
market liquidity and volatility vary randomly in time. Under specific assumptions for the …

Portfolio risk forecasting has been and continues to be an active research field for both
academics and practitioners. Almost all institutional investment management firms use …